Line a baking tray with baking paper then set aside.
Place the sausage meat into a large mixing bowl then crumble in the Wensleydale.
Add in the caramelised onions then season with salt & pepper. Give the sausage meat a good mix with your hands, to combine.
Next, roll the puff pastry out on a light floured worksurface, into a 25cm x 40cm rectangle, roughly 5mm thick.
Arrange the sausage meat into a long cylinder, lengthways down the middle of the pastry.
Whisk together the egg, milk & salt then lightly brush egg wash on the edges of the pastry.
Fold one of the long pastry edges over the sausage meat then press the edges lightly, to seal. Pop the sausage roll onto the baking tray then refrigerate for 30 minutes (this makes portioning the sausage roll easier).
Next, use a fork to crimp the pastry down the length of the seam then trim the seam & each end slightly with a sharp knife.
Cut the sausage roll into 6 evenly sized portions then brush the top of each one with a light layer of egg wash. Refrigerate for 30 minutes.Wiping your knife clean between each cut, makes for neater portions. In the meantime, preheat an oven to 200°c/180°c fan (392°f/356°f).
Brush another light layer of egg wash onto the sausage rolls then score the top with the back of a knife.
Sprinkle over the nigella seeds then bake for 25-30 minutes, until the pastry is a deep golden brown & the internal temperature is at least 75°c/167°f.
Leave on the tray, to cool slightly then serve. Alternatively, leave to cool then refrigerate.